MSCI Correlations

MSCI Stock

USD 571.83 1.04 0.18%

The current 90-days correlation between MSCI Inc and Nasdaq Inc is 0.71 (i.e., Poor diversification). The correlation of MSCI is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.

MSCI Correlation With Market

Average diversification

The correlation between MSCI Inc and DJI is 0.12 (i.e., Average diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding MSCI Inc and DJI in the same portfolio, assuming nothing else is changed.

Build AI portfolio with MSCI Stock

Check out Correlation Analysis to better understand how to build diversified portfolios, which includes a position in MSCI Inc. Also, note that the market value of any company could be closely tied with the direction of predictive economic indicators such as signals in unemployment.

Moving together with MSCI Stock

0.89	3HM	MSCI Inc	Pair Corr
0.8	ICE	Intercontinental Exchange	Pair Corr
0.81	MCO	Moodys	Pair Corr
0.7	NAQ	Nasdaq Inc	Pair Corr
0.64	MHL	SP Global	Pair Corr
0.82	IC2	Intercontinental Exchange	Pair Corr
0.79	NDAQ	Nasdaq Inc Normal Trading	Pair Corr

Moving against MSCI Stock

0.62	LS4D	LONDON STEXUNSPADRS12	Pair Corr
0.5	TW	Tradeweb Markets Normal Trading	Pair Corr
0.49	LFIN	LongFin Corp	Pair Corr
0.4	ENXB	Euronext NV	Pair Corr
0.34	ENX	EURONEXT NV UNSPADR15	Pair Corr
0.34	ENX	Euronext NV	Pair Corr
0.31	OSKU	JAPAN EX UNADR	Pair Corr
0.31	AUX	ASX Limited	Pair Corr
0.36	HEE	Hellenic Exchanges	Pair Corr
0.31	DB1	Deutsche Brse AG	Pair Corr

Related Correlations Analysis

	NDAQ	AIG	BSBR	AMP	MET	CBOE	ALL	JPM	SOFI	RKT
NDAQ		0.01	-0.37	0.4	0.28	-0.48	-0.39	0.39	0.66	0.67	NDAQ
AIG	0.01		-0.51	-0.12	0.68	-0.32	0.5	0.46	0.05	-0.48	AIG
BSBR	-0.37	-0.51		0.19	-0.46	0.69	-0.27	-0.39	-0.63	-0.05	BSBR
AMP	0.4	-0.12	0.19		0.25	0.05	-0.38	0.45	-0.13	0.39	AMP
MET	0.28	0.68	-0.46	0.25		-0.54	0.11	0.65	0.27	-0.07	MET
CBOE	-0.48	-0.32	0.69	0.05	-0.54		-0.11	-0.43	-0.82	-0.12	CBOE
ALL	-0.39	0.5	-0.27	-0.38	0.11	-0.11		0.24	-0.08	-0.5	ALL
JPM	0.39	0.46	-0.39	0.45	0.65	-0.43	0.24		0.34	0.27	JPM
SOFI	0.66	0.05	-0.63	-0.13	0.27	-0.82	-0.08	0.34		0.46	SOFI
RKT	0.67	-0.48	-0.05	0.39	-0.07	-0.12	-0.5	0.27	0.46		RKT
	NDAQ	AIG	BSBR	AMP	MET	CBOE	ALL	JPM	SOFI	RKT

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Correlation Matchups

Over a given time period, the two securities move together when the Correlation Coefficient is positive. Conversely, the two assets move in opposite directions when the Correlation Coefficient is negative. Determining your positions' relationship to each other is valuable for analyzing and projecting your portfolio's future expected return and risk.

High positive correlations

CBOE	+ 0.69	BSBR
MET	+ 0.68	AIG
RKT	+ 0.67	NDAQ
SOFI	+ 0.66	NDAQ
JPM	+ 0.65	MET
ALL	+ 0.5	AIG

High negative correlations

SOFI	- 0.82	CBOE
SOFI	- 0.63	BSBR
CBOE	- 0.54	MET
BSBR	- 0.51	AIG
RKT	- 0.5	ALL
RKT	- 0.48	AIG

Risk-Adjusted Indicators

There is a big difference between MSCI Stock performing well and MSCI Company doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze MSCI's multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
NDAQ	1.33	(0.08)	(0.03)	0.01	2.28	(1.32)	2.28	(3.37)	11.68
AIG	1.09	0.08	0.01	0.46	1.73	(1.08)	2.48	(2.37)	13.58
BSBR	1.93	0.07	0.02	0.16	2.35	(2.02)	4.57	(3.85)	10.41
AMP	1.38	(0.04)	0.00	0.05	2.26	(1.23)	2.91	(3.80)	10.55
MET	1.20	(0.16)	0.00	(0.03)	0.00	0.00	2.15	(3.45)	7.93
CBOE	0.96	0.28	0.15	(1.95)	0.98	(1.06)	2.11	(1.98)	5.18
ALL	1.13	0.00	(0.04)	0.15	1.76	(1.06)	2.32	(2.97)	8.07
JPM	1.27	(0.11)	(0.03)	0.01	1.83	(1.30)	2.34	(3.11)	8.17
SOFI	2.53	(0.65)	0.00	(0.23)	0.00	0.00	4.89	(6.22)	16.63
RKT	2.58	(0.02)	0.01	0.07	3.49	(2.79)	6.14	(4.95)	23.33

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